I finally picked up Fallout 3 here from GoG, after my Steam copy stopped working with Windows 10. It's been a battle to get it set up the way I want (as usual), but I'm very close. Seems the last hurdle I need to overcome is the annoyance that my in-game options settings don't get saved in between sessions. For example, turning off autosaves, adjusting game volume, altering draw-distance, that sort of thing. It all gets reset back to default every time I open the game.

Any fixes for this?

Make sure the ini files are not in ready only

Dabner is right, but I'll add that cloud saving could be an issue too.

Do you use GOG Galaxy? If the answer is yes, try running the game without using it because there might be something wrong with the cloud saving feature. Alternatively, you could simply disable cloud save feature in Galaxy selecting Manage Installation and Configure.

Check also if you are using alternative cloud saving features such as OneDrive because the game saves its configuration settings in %USERPROFILE%\Documents\My Games\Fallout3\.